Reply To: Can EPM’s be used to override the deals PnL Detail ?

#7279
Tom Graham
Participant

If the Delta returned by the EPM is a single value, then that would appear to correspond to the ‘Delta by Leg’ result.

Also, if the EPM in question is some kind of simple option valuation, and if the model valuation function has reasonable performance, then you can leave the Tran Gridpoint Delta simulation to run as normal. That is, it will shock the curve inputs sequentially and re-run the base valuation (via the IM) over and over again.

If the EPM Delta output was a vector corresponding to input price gridpoints, and/or the valuation takes long to run, then you would look to map the Delta to Tran Gridpoint Delta result.

Bear in mind that the Tran Gridpoint Delta result is more useful to have ultimately, as it is more general, and is used in more places downstream – in APM, VaR etc.

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